Related papers: The Tech Decoupling
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of…
This paper introduces a novel approach to financial crisis prediction by establishing a thermodynamic-like framework derived from the fluctuation theorem of statistical physics. We define market temperature through the probability ratio of…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
Financial asset markets are sociotechnical systems whose constituent agents are subject to evolutionary pressure as unprofitable agents exit the marketplace and more profitable agents continue to trade assets. Using a population of evolving…
In an era of rapid change, timely and disaggregated economic insights are crucial for effective policymaking. This study explores the potential of real-time payment data to complement traditional economic measurement. Using anonmysed UK…
We present a comprehensive dataset capturing patterns of human mobility across the United States from January 2019 to January 2023, based on anonymized mobile device data. Aggregated weekly, the dataset reports visits, travel distances, and…
This paper develops a dynamic factor model that uses euro area (EA) country-specific information on output and inflation to estimate an area-wide measure of the output gap. Our model assumes that output and inflation can be decomposed into…
Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…
Time series forecasting is essential for decision making in many domains. In this work, we address the challenge of predicting prices evolution among multiple potentially interacting financial assets. A solution to this problem has obvious…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…
In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is…
In university programs and curricula, in general we react to the need to meet market needs. We respond to market stimulus, or at least try to do so. Consider now an inverted view. Consider our data and perspectives in university programs as…
The recent wave of AI and automation has been argued to differ from previous General Purpose Technologies (GPTs), in that it may lead to rapid change in occupations' underlying task requirements and persistent technological unemployment. In…
Abstract: The rising global temperatures caused by climate change significantly impact energy consumption and electricity generation. Fluctuating temperatures and frequent extreme weather events disrupt energy production and consumption…
Understanding what factors bring about socio-economic development may often suffer from the streetlight effect, of analyzing the effect of only those variables that have been measured and are therefore available for analysis. How do we…
We analyse growth vulnerabilities in the US using quantile partial correlation regression, a selection-based machine-learning method that achieves model selection consistency under time series. We find that downside risk is primarily driven…
Does technological change destroy or create jobs? New technologies may replace human workers, but can simultaneously create jobs if workers are needed to use these technologies or if new economic activities emerge. Furthermore,…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
Using a panel payment system dataset of thirty-three provinces in Indonesia, we examine the impact of digital payment on the regional economy, considering structural breaks induced by unprecedented events and policies. Digital payments were…
An interesting analog circuit for simulating a signal with fluctuations having a probability density function with a power tail has recently been proposed and constructed. The exponent of the power law can be fixed by tuning an appropriate…